Your question is about the legal significance of your husband making a threatening statement. I note that you do not ask about what you can do to protect yourself and do not say that you actually fear him.
If you are afraid of him, I recommend that you do go to the police and report the threat. They may arrest him and the criminal court may enter a protective order for your safety. If the police decide not to arrest him, you can go to family court and seek a restraining order which will be granted if the court finds that he presents a continuous threat of present physical pain or physical injury to you. You should detail the threat and the history of your deteriorating marriage, his drinking and his depression in the application for restraining order paperwork. A lawyer can help you produce the application correctly and quickly.
Either a protective order or restraining order can temporarily provide you exclusive possession of the marital home and prevent him from having contact with you and, if appropriate, your children.
You should consider that he may become more angry and depressed when you file for divorce before you decide that you are safe. But, if you think you are safe, you should think carefully about escalating the animosity of a divorce by obtaining orders based on his threatening remark.
You might want to contact a lawyer and discuss divorce as soon as possible. The attorney can give you additional advice and address safety concerns before and during you divorce.
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My answer is not legal advice and does not establish a client/attorney relationship. It is impossible to give complete advice without having a thorough discussion of the facts because the question may not be a complete or accurate description of the problem and there is no chance to ask a follow up question. Laws are different from jurisdiction to jurisdiction and frequently change. So, please, do not act on any information provided without consulting with a lawyer licensed to practice in your jurisdiction who has experience with the kind of issues that concern you.
Reporting the incident to the police will, if nothing else, establish a record of the incident. If your complaint results in an arrest, the court will issue a protective order which will remain in place until the matter is resolved. If you are in fear of imminent physical or mental harm, you can apply civilly for an ex parte restraining order which will stay in effect for 14 days. On the 14th day, a hearing takes place where you can argue to have it extended up to six months. The application is available at the clerk's office in any civil courthouse.